liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility … increases when liquidity conditions deteriorate. I do not find a strong association between bank size and exposure to the SLRI …I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several …

. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which … testing of solvency and liquidity: our approach exploits the mechanisms underlying the solvency-liquidity nexus to derive … relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …

Whether and to what extent tougher bank regulation weighs on economic growth is an open empirical question. Using data … from 28 manufacturing industries in 50 countries, we explore the extent to which cross-country differences in bank … liquidity and capital levels were related to differences in sectoral activity around the period of the global financial crisis …

have been reluctant to do so. Provided the market expects a bank to rebuild its buffers, any draw-down will open up a … capital shortfall that will weigh on its share price. Therefore, a bank will only decide to use its buffers if the value …

the real economy. The study also runs an empirical exercise to estimate the costs of bank narrowness and draws policy …

pre-crisis bank behavior, and suggest implications for the optimal design of capital regulation …

Rules of thumb can be useful in undertaking quick, robust, and readily interpretable bank stress tests. Such rules of …